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Dark trading at the midpoint : pricing rules, order flow, and high frequency liquidity provision
Bartlett, Robert P.; McCrary, Justin - 2015
Persistent link: https://www.econbiz.de/10011300772
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High frequency trading in financial markets
Zhang, Shuo Sarah - 2013
Financial markets have undergone tremendous changes in the last decades. Next to the automation of the trading process and the improvement in market quality, High Frequency Trading (HFT) plays a major role in financial markets. This thesis provides a background on the evolution of financial...
Persistent link: https://www.econbiz.de/10010244967
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High frequency traders : taking advantage of speed
Aït-Sahalia, Yacine; Sağlam, Mehmet - 2013
Persistent link: https://www.econbiz.de/10010200028
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Order-to-trade ratios and market liquidity
Friederich, Sylvain; Payne, Richard - In: Journal of banking & finance 50 (2015), pp. 214-223
Persistent link: https://www.econbiz.de/10010509557
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Rise of the machines : algorithmic trading in the foreign exchange market
Chaboud, Alain P.; Chiquoine, Benjamin; Hjalmarsson, Erik; … - In: The journal of finance : the journal of the American … 69 (2014) 5, pp. 2045-2084
Persistent link: https://www.econbiz.de/10010489675
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Optimal display of Iceberg orders
Cebiroglu, Gökhan; Horst, Ulrich - 2011
the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model … to 60%. -- Hidden Liquidity ; Iceberg Orders ; Limit Order Book ; Market Impact of Limit Orders ; Optimal Exposure …
Persistent link: https://www.econbiz.de/10009299593
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Rise of the machines : algorithmic trading in the foreign exchange market
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2009
Persistent link: https://www.econbiz.de/10009535470
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Financial Markets and High Frequency Trading : An Information Management Perspective
Theodoulidis, Babis - 2012
The advances in trading technologies and networking infrastructures combined with the globalisation and competitive environment of the financial markets has increased the complexity and dynamics of markets making them difficult to understand and has raised a number of issues in relation to the...
Persistent link: https://www.econbiz.de/10013097715
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High Frequency Trading and Price Discovery
Brogaard, Jonathan - 2013
errors, both on average and on the highest volatility days. This is done through their liquidity demanding orders. In … contrast, HFTs' liquidity supplying orders are adversely selected. The direction of buying and selling by HFTs predicts price …
Persistent link: https://www.econbiz.de/10013092413